Bonds During the Off Season?
June 19, 2015
As implied in “Mirror Image Seasonality for Stocks and Treasuries?”, have bonds been better than stocks during the “Sell-in-May” months of May through October? Are the behaviors of government, corporate investment grade and corporate high-yield bonds over this interval similar? To investigate, we consider the seasonal behaviors of:
Using dividend-adjusted monthly prices for these funds during January 1993 (limited by inception of SPY) through May 2015, we find that: (more…)